thanks guys, though not sure what you meant Nog dog
It would be similar to a user registration page "testing" your email address by sending you a confirmation email to that address with some link you need to click in order to complete the process.
In this case, you could use cURL (or some other technique to send a HTTP request) using the supplied URL, and if it results in a successful response, then by definition it is a valid URL, both in terms of syntax and actually pointing to a valid web resource.
If you are, for some reason, only concerned with syntax, then you would need to be very meticulous with any regular expression syntax in order to avoid false negatives against valid URLs which happen to break imagined "rules". This means going through the relevant specifications and ensuring you understand exactly what is and is not legal for the structure of a URL.
(The same holds true for many email address syntax regexp's you may find out there, most of which have the potential to provide false negatives.)